Monte Carlo Simulation
simulateMC() is a tool to generate samples from user-specified distributions and combine the samples through an arbitrary function. It can also be used as a tool for propagation of uncertainty or just to generate correlated samples.
simulateMC():
• Supports most/all of the distribution types in MATLAB's statistics and machine learning toolbox, including truncated distributions.
• Can generate correlated samples from any combination of distributions via a gaussian copula approach with iterative optimization of correlation parameters
• Supports bootstrapping samples from data
• Supports fitting distributions to data and drawing samples from the fitted distribution
• Supports custom sample inputs
• Finds confidence intervals and computes descriptive statistics
• Allows for visualization of the distributions using histogram plots.
HOW TO USE: Explanations of syntax and simple examples are included in the comments of the function file. More detailed examples can be found in the included file 'simulateMC_examples.m'.
Citation pour cette source
Joe Klebba (2024). Monte Carlo Simulation (https://www.mathworks.com/matlabcentral/fileexchange/89882-monte-carlo-simulation), MATLAB Central File Exchange. Récupéré le .
Compatibilité avec les versions de MATLAB
Plateformes compatibles
Windows macOS LinuxTags
Remerciements
A inspiré : Availability & Unavailability IEEE39 Bus using Monte Carlo, Monte Carlo Simulation
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Version | Publié le | Notes de version | |
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1.0.2 | fix typo in description |
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1.0.1 | Fix typos |
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1.0.0 |